Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

DOI10.1016/j.apnum.2022.05.004zbMath1492.65028OpenAlexW4280653181MaRDI QIDQ2154871

Xiao-Juan Wu, Si-qing Gan

Publication date: 15 July 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.05.004

zbMATH Keywords

stochastic differential equationsnon-globally Lipschitz coefficientsstrong convergence ratessplit-step theta Milstein methods

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

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